Can Transient Institutions Correctly Interpret Small Negative Earnings Surprises in the Absence of Access to Management’s Private Information?
利用公平披露规则实施后机构投资者的日度股票交易数据，研究发现短期机构在小幅负向盈利意外时显著卖出，且其交易有助于提高股价信息效率，而非过度反应。
Using a proprietary database of institutional investors’ daily stock trading records in the post–Regulation Fair Disclosure (FD) period, this study examines whether transient institutions have the independent ability to correctly process small negative earnings surprise announcements, which management claims transient institutions have difficulty in interpreting. We find economically significant abnormal selling by transient institutions in response to small negative earnings surprises. Transient institutions’ selling in response to small negative earnings surprises is also associated with significant contemporaneous stock price declines. However, we find no evidence that transient institutions’ trading in response to small negative earnings surprises is an overreaction as there is no reversal of stock prices subsequent to transient institutions’ trading. More importantly, we show that transient institutions’ trading in response to small negative earnings surprises helps improve the informational efficiency of share prices.